Individual loss reserving for multi-coverage insurance

Read full text
Authors: Roxane Turcotte, Peng Shi
Cited by: 0
References: 30

Abstract

Abstract Individual loss reserving methods have undergone substantial development in the past decade, driven by increased accessibility to granular-level insurance claims data. This paper presents a micro loss reserving model tailored for multi-coverage insurance policies, where a single insurance claim might trigger payments from multiple coverage types. We employ a copula-based multivariate regression approach to jointly model the settlement time and loss amount, effectively capturing the dependence among various types of loss amounts and their correlation with the settlement time. We stress the importance of considering both types of dependence for accurate reserving prediction and uncertainty quantification. Furthermore, we propose computationally efficient algorithms for parameter estimation and dynamic prediction. Through numerical experiments and real data analysis, we demonstrate the effectiveness of our proposed multivariate predictive model in loss reserving applications.

Fields of Study & Subjects

Probability and Risk Models Insurance and Financial Risk Management Insurance Mortality Demography Risk Management

Publication details

Journal / source
Astin Bulletin
Volume
56
Issue
2
Pages
295–316
Publication date
16 February 2026
Language
EN